RPM launches fund focusing on ‘evolving’ CTAs

Stockholm-based CTA specialist RPM Risk & Portfolio Management has launched a new fund with a focus on smaller “evolving” CTAs.

The new fund, the RPM Evolving CTA Fund, will invest in a portfolio of CTA managers across three strategic groups – trend following, short-term and fundamental.

RPM Risk & Portfolio Management, which has roughly USD4bn in funds under management and advisory services, has based its new fund on internal research that found that CTAs in the evolving phase – those typically between two and seven years old with USD30m to USD2bn in AuM – are the most promising from a risk/reward perspective.

According to RPM’s research, these funds typically outperform their larger competitors by three per cent annually with an equal volatility of 10 per cent.

The new fund, which will have a fixed management fee of one per cent and a performance fee of five per cent, aims to trade at an annual volatility of 13 per cent with a minimum investment of SEK5m. The fund's benchmark will be the Barclay BTOP50, which tracks the largest CTA managers in the world.

RPM's chief executive Mikael Stenbom (pictured) says: "RPM Evolving CTA Fund seeks to identify and invest with CTAs who demonstrate potential to develop into the next generation of industry leaders. The aim is to find them before they become too large, or too old, to maintain the level of return that typically occurs during the first five to seven years of a CTAS existence. The fund is the result of a research work that began in 2010 and that can be best described as a systematic and verification of the experiences we made ​​during our twenty years as investors and risk manager of CTA world.

"RPM Evolving CTA Fund will only use managers who are in the growth phase, as defined by age and assets under management."